There was a situation today at the Open where Mickelson had an embedded ball off the fairway and took a penalty stroke after being refused relief. As I understand it, the USGA and the R&A rules are different for this condition.
I am reminded of the 1958 Masters that involved an embedded ball on 12. AP sought and was refused a free drop. He subsequently played a second ball and was ultimately permitted to record the score on it by the committee. The Masters is not a USGA event but at that time there was a local rule AP understood and took advantage of, ultimately winning for what was the first of four green jackets.